I am wondering about this too. I tried to create a derived CXTPPropertyGridItem where I exposed the SetVisible method, like this;

class CCustomItemHideable : public CXTPPropertyGridItem
{
public:
    CCustomItemHideable(UINT uiRes) : CXTPPropertyGridItem(uiRes) {
    };

    virtual void SetVisible(BOOL bVisible)
    {
        m_bVisible = bVisible;
    };

protected:

private:
};

However, the items were never hidden, and I received an assert when I selected the "to be invisible"-item